How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.03
α ARCH Response to squared shocks	0.0054	0.46
β GARCH Volatility persistence	0.9952	94.97***
γ leverage Additional response to negative shocks	-0.0012	-0.16

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